DFM: Determining the Number of Factors in the general dynamic...

In wsy0317/StatComp21031: Example functions for 'Statistical Computing' course

Description

The function is used to minimize information criterion with two penalties in the general dynamic factor model. Comparing to the static factor model, parameters of information criterion in this model is not fixed, changing the fixed p,n and c to vectors.

Usage

DFM(Y)

Arguments

Y	p by n matrix of raw data, where p is the dimensionality, n is the sample size.

Value

estimated number of factors based on two information criterion in the General Dynamic Factor Model.

Examples

## Not run: 
p=100
n=100
Y<-array(rnorm(p*n),dim=c(p,n))
K<-DFM(Y)

## End(Not run)

wsy0317/StatComp21031 documentation built on Dec. 24, 2021, 1:28 a.m.